Can the ‘Volfefe Index’ make markets great again?

By Frank Jackman

12 Sep 2019

How much emphasis do you put on a tweet? According to JP Morgan and its recent ‘Volfefe Index’, 280 characters is all US president Donald Trump needs to shock the markets. The aim is to create an index “to measure the impact of the president’s tweets on rates volatility”. However, with algorithmic trading and tweet aggregation commonplace, many market participants are unconvinced that the index brings anything new to the table.

Trump has over 64.2m followers on the social media site, making him “probably the most watched Twitter account with any connection to the capital markets”, according to one head of DCM.

For market participants, a Trump-linked volatility index is only one of many tools used to monitor fluctuations
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